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Option prices and stock market momentum : evidence from China
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng F. - In: Quantitative finance 18 (2018) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10011913187
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Option augmented density forecasts of market returns with monotone pricing kernel
Beare, Brendan K.; Dossani, Asad - In: Quantitative finance 18 (2018) 4, pp. 623-635
Persistent link: https://www.econbiz.de/10011906445
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The implied Sharpe ratio
Agarwal, Ankush; Lorig, Matthew - In: Quantitative finance 20 (2020) 6, pp. 1009-1026
Persistent link: https://www.econbiz.de/10012262655
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Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo - In: Quantitative finance 21 (2021) 5, pp. 713-727
Persistent link: https://www.econbiz.de/10012500183
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Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana; Nieto Domenech, Belen; Rubio, … - In: Quantitative finance 21 (2021) 5, pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
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The impact of options introduction on the volatility of the underlying equities : evidence from the Chinese stock markets
Arkorful, Gideon Bruce; Chen, Haiqiang; Liu, Xiaoqun; … - In: Quantitative finance 20 (2020) 12, pp. 2015-2024
Persistent link: https://www.econbiz.de/10012313545
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Volatility information difference between CDS, options, and the cross section of options returns
Guo, Biao; Shi, Yukun; Xu, Yaofei - In: Quantitative finance 20 (2020) 12, pp. 2025-2036
Persistent link: https://www.econbiz.de/10012313548
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Volatility is (mostly) path-dependent
Guyon, Julien; Lekeufack, Jordan - In: Quantitative finance 23 (2023) 9, pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
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The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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A dynamic equilibrium model for U-shaped pricing kernels
Yamazaki, Akira - In: Quantitative finance 18 (2018) 5, pp. 851-875
Persistent link: https://www.econbiz.de/10011907953